May 27, 2025
This paper addresses five common criticisms of Tax-Aware Long-Short (TA LS) strategies, arguing that most concerns stem from implementation inexperience rather than flaws in the strategy itself. It emphasizes that experienced long-short managers are best positioned to deliver tax-aware benefits without compromising pre-tax alpha.
Asset Allocation
July 31, 2025
In a portfolio whose investment horizon is forever, do diversifying investments add any value? In this short paper, we illustrate the surprising power of diversification for ultra-long-term investors.
Equities
July 31, 2025
This paper reviews the strengths and weaknesses of using valuation-based metrics like CAPE and CAEY to estimate long-run equity market returns. While these models remain the most robust objective tools available, their predictive power is nuanced and often overstated.
Tax Aware
July 31, 2025
While liquidation taxes may seem like a drawback for TA LS strategies, this analysis shows they typically do not erase the significant tax and performance benefits accumulated over time. Thoughtful unwind planning can further enhance after-tax outcomes.
Equities
July 10, 2025
We discuss how historical average returns can be useful estimates of future expected returns (only) if expected returns are constant and the sample is unbiased.
Machine Learning
July 10, 2025
We respond to recent academic challenges to aspects of the “virtue of complexity” described in our prior research. We provide detailed discussions of how complex models learn in small samples, the roles of “nominal” and “effective” complexity, the unique effects of implicit regularization, and the importance of limits to learning. We then present new empirical and theoretical analyses that expand on KMZ. Finally, we introduce and demonstrate the virtue of ensemble complexity.
Alternative Investing
June 20, 2025
We present our history of expectation formation: How have investors formed long-run return expectations over time, and how have academics perceived that investors do it, or ought to do it?
Equities
May 27, 2025
This article explores the contrast in how investors form long-run expectations in equity and bond markets. It also examines very long run trends in financial market variables and potential implications for the future.
Tax Aware
May 14, 2025
This paper investigates the most effective ways to manage the risk of concentrated stock positions.
